Extract the market expectations of future inflation for the one and three year horizon

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December 29, 2016
2DQ1.PLease do it in APA format, at least 270 words.
December 29, 2016
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Extract the market expectations of future inflation for the one and three year horizon

Download from Bloomberg the data for the zero curves extracted from the US
government bonds (use the function GC and select the appropriate curve from the tab
“Browse | CRVF”), from the Treasury Inflation Protected Securities (page code ILBE ),
and from swap contracts in US currency (IRSB ).
Plot the three zero-curves and comment on their shapes and differences.
5b) Using Ordinary Least Square, fit the Nelson-Siegel model to the three zero curves, fixing
the parameter λ to 0.06.
5c) Perturb the β parameters obtained for the Nelson-Siegel fit of the US swap curve, plot the
resulting yield curves, and comment on the effects of changes in each parameter on the shape
of the resulting yield curves.
5d) Extract the market expectations of future inflation for the one and three year horizon

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